# 2026-16098: CME Locks In New Securities Margin Rules

2026-16098, Self-Regulatory Organizations; CME Securities Clearing Inc.; Notice of Filing of Proposed Rule Change To Adopt CMESC Margin Policy, is a Federal Register notice from Securities and Exchange Commission published 2026-08-07, effective 2026-07-22; PRIA reads it as touching household money (as of 2026-08-14).

- Canonical: https://policyrisk.com/federal-register/2026-16098
- As of: 2026-08-14
- Plain-text twin of the page above; the HTML and this file carry the same facts.

## Facts
- Document number: 2026-16098
- Title: Self-Regulatory Organizations; CME Securities Clearing Inc.; Notice of Filing of Proposed Rule Change To Adopt CMESC Margin Policy
- Type: Notice
- Agencies: Securities and Exchange Commission
- Citation: 91 FR 51191
- Published: 2026-08-07
- Effective: 2026-07-22
- Comments close: not stated
- Significant: no
- Touches household money: yes
- Regulation identifier numbers: none
- Last updated: 2026-08-14

## In one line

CME Locks In New Securities Margin Rules

## Summary

No summary available.

## Effects PRIA read

- CMESC Can Require Extra Margin: cost, medium. CMESC may, in its sole discretion, require additional margin from Participants pursuant to its Rules (see Rule 509(b)). This means clearing participants could be asked to post extra collateral beyond modeled margin levels when CMESC decides it is needed.
- Margin Coverage Set at 99% Over MPOR: cost, medium. CMESC's SPAN 2 margin model is designed to ensure margin coverage of at least 99% of anticipated daily price changes on an ex post basis for each cleared portfolio. The Policy also documents that the margin period of risk (MPOR) used by CMESC is at least two business days.
- Historical Data Lookback: 5-Year Minimum: mixed, medium. CMESC's filtered historical value-at-risk (FHVaR) uses a rolling lookback period of at least 5 years and scales historical returns with an exponentially weighted moving average (EWMA). The FHVaR also includes a target forecast volatility floor to prevent margin requirements from falling to low leve…
- Stress Scenarios Persist via SVaR: cost, medium. CMESC's stress value-at-risk (SVaR) includes historical stress periods from a rolling lookback of at least 5 years, additional stress periods beyond that window, and hypothetical scenarios. These SVaR scenarios are intended to persist in margin requirements even during periods of low volatility.
- Valuation Uncertainty Margin for Curve-Priced Treasuries: cost, medium. CMESC's Valuation Uncertainty Margin (VUM) dynamically accounts for pricing discrepancies between curve-based U.S. Treasury prices and actual prices by aggregating portfolio Greeks and applying shocks from historical pricing differences. This can increase margin for securities where pricing uncerta…
- Liquidity & Concentration Add-Ons Based on ADV: cost, medium. CMESC's liquidity and concentration risk component sets thresholds based on a percentage of average daily volume (ADV) of U.S. Treasury securities by maturity bucket to decide if additional margin beyond market risk components is required to address close-out costs for concentrated portfolios.
- New Product Margins May Use Proxy Data: cost, low. For new product groups lacking sufficient historical data, CMESC's Working Group will identify appropriate proxy data to set outright margin levels and other parameters, and a senior member may approve the selected proxy prior to use. This can affect margin levels for newly launched cleared product…

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## Sources
- [2026-16098 on federalregister.gov](https://www.federalregister.gov/documents/2026/08/07/2026-16098/self-regulatory-organizations-cme-securities-clearing-inc-notice-of-filing-of-proposed-rule-change)
- [2026-16098 as published (PDF)](https://www.govinfo.gov/content/pkg/FR-2026-08-07/pdf/2026-16098.pdf)

## Related
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- [All Federal Register documents](https://policyrisk.com/federal-register)

Source: PRIA, https://policyrisk.com/federal-register/2026-16098 (as of 2026-08-14).